Kramin, Marat; Kramin, Timur; Young, Stephen; Dharan, Venkat - In: Review of Quantitative Finance and Accounting 24 (2005) 2, pp. 199-226
This paper presents an alternative approach for interest rate lattice construction in the Ritchken and Sankarasubramanian (1995) framework. The proposed method applies a parsimonious induction technique to represent the distribution of auxiliary state variables and value interest rate...
